10 Key Publications

• 

  Li, M. and Koopman, S. (2021). Unobserved components with stochastic volatility: Simulation-based estimation and signal extraction Journal of Applied Econometrics, 36(5):614--627.

• 

  Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2021). Maximum likelihood estimation for score-driven models Journal of Econometrics, :.

• 

  Wang, W.(., Leng, X.(. and Chen, H. (2021). Multi-dimensional latent group structures with heterogeneous distributions Journal of Econometrics, :.

• 

  Juodis, A. and Sarafidis, V. (2021). An incidental parameters free inference approach for panels with common shocks Journal of Econometrics, :.

• 

  Kleibergen, F. (2021). Efficient size correct subset inference in homoskedastic linear instrumental variables regression Journal of Econometrics, 221(1):78--96.

• 

  Juodis, A., Karabiyik, H. and Westerlund, J. (2021). On the robustness of the pooled CCE estimator Journal of Econometrics, 220(2):325--348.

• 

  Boswijk, H., Cavaliere, G., Georgiev, I. and Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility Journal of Econometrics, 224(1):161--180.

• 

  Einmahl, JohnH.J., Yang, F. and Zhou, C. (2021). Testing the Multivariate Regular Variation Model Journal of Business and Economic Statistics, 39(4):907--919.

• 

  Blasques, F., Gorgi, P. and Koopman, S.J. (2021). Missing observations in observation-driven time series models Journal of Econometrics, 221(2):542--568.

• 

  Okui, R. and Wang, W. (2021). Heterogeneous structural breaks in panel data models Journal of Econometrics, 220(2):447--473.